If you want to watch live TV on your iPhone you can use TVCatchup or BBC iPlayer 

If you want to watch TV broadcast from your own home you would ideally buy a Slingbox (and their £17.99 iPhone app) ...

... but you can also use a software based service called Orb

I installed the Orb server on a machine with a full iTunes library of music and video and that also has two USB webcams and a USB TV tuner attached. Once logged in through any device with a web browser (Wii, PS3, iPhone, PDA, PSP, Windows Mobile, Laptop, iPad) you have access to stream the media direct to that device. It will convert video files on the fly to the target format of your choice (3GP, FLV. WMA etc) and it will access a live stream of each webcam, Live TV, music and even file browsing.

Here are a couple of screenshots from testing the free trial iPhone app. It had no problems streaming the video from (my wifes!) iTunes library. Unfortunately, although streaming your media to every other device is free, the full iPhone app is currently £5.99 (I suspect this helps pay for the ability to stream through their servers when you are on the road).

In theory you should be able to access all of your stored media and live TV from anywhere in the World with a data signal. When you are inside the same network (i.e. WiFi in the house) the stream stays local so you are not eating into any bandwidth limits while watching SKY TV in the bath!

Give it a try, it's free! http://orb.com/